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Degrees of freedom in lasso problems

2 November 2011
R. Tibshirani
Jonathan E. Taylor
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Abstract

We derive the degrees of freedom of the lasso fit, placing no assumptions on the predictor matrix XXX. Like the well-known result of Zou, Hastie and Tibshirani [Ann. Statist. 35 (2007) 2173-2192], which gives the degrees of freedom of the lasso fit when XXX has full column rank, we express our result in terms of the active set of a lasso solution. We extend this result to cover the degrees of freedom of the generalized lasso fit for an arbitrary predictor matrix XXX (and an arbitrary penalty matrix DDD). Though our focus is degrees of freedom, we establish some intermediate results on the lasso and generalized lasso that may be interesting on their own.

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